Panel A: Granger causality test result for robustness check

Investor attention is not the Granger cause of corn futures price

2.0603*

Corn futures price is not the Granger cause of investor attention

1.8878

Panel B: VAR analysis

$Y_t$

$AT{T}_t$

$Y_{t-1}$

0.19358***

0.97161

$Y_{t-2}$

−0.03092

1.65493*

$Y_{t-3}$

−0.00244

−1.35596

$Y_{t-4}$

0.02660

0.08266

$AT{T}_{t-1}$

0.00035

0.20158***

$AT{T}_{t-2}$

−0.01220**

−0.16870***

$AT{T}_{t-3}$

−0.00337

−0.10712*

$AT{T}_{t-4}$

0.00109

−0.05431

intercept

0.00144*

−0.00967

$R^2$

0.0743

0.1352